Title :
Basket Option Pricing Using GP-GPU Hardware Acceleration
Author :
Douglas, Craig C. ; Lee, Hyoseop
Author_Institution :
Math. Dept., Univ. of Wyoming, Laramie, WY, USA
Abstract :
We introduce a basket option pricing problem arisen in financial mathematics. We discretized the problem based on the alternating direction implicit (ADI) method and parallel cyclic reduction is applied to solve the set of tridiagonal matrices generated by the ADI method. To reduce the computational time of the problem, a general purpose graphics processing units (GP-GPU) environment is considered. Numerical results confirm the convergence and efficiency of the proposed method.
Keywords :
computer graphics; coprocessors; financial data processing; matrix algebra; pricing; GP-GPU hardware acceleration; alternating direction implicit method; basket option pricing; financial mathematics; general purpose graphics processing units; parallel cyclic reduction; tridiagonal matrices; Algorithm design and analysis; Boundary conditions; Equations; Graphics processing unit; Mathematical model; Pricing; ADI method; CUDA; GP-GPU; GPU; basket option; option;
Conference_Titel :
Distributed Computing and Applications to Business Engineering and Science (DCABES), 2010 Ninth International Symposium on
Conference_Location :
Hong Kong
Print_ISBN :
978-1-4244-7539-1
DOI :
10.1109/DCABES.2010.16
